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Fitting Survival Probability Models

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Fitting Survival Probability Models

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Companion code for "Fitting Survival Probability Models" article.

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Description

This is a MATLAB(R) implementation of the ideas discussed in

   Lopez-Calva, G. and K. Shea, "Fitting Survival Probability Models," WILMOTT Magazine, issue 45, pp. 16-22.

We estimate the parameters of three different survival probability models based on credit default swap (CDS) spreads. The parameters of the models are fitted using a nonlinear least-squares solver. For the standard model, a bootstrapping technique is also implemented, for comparisons. The mark-to-market (MtM) of an existing CDS contract is also calculated under the three alternative survival models. Code for a general survival model is provided, though it is not used in the main demo.

Dependencies: This demo uses functionality from the Financial Toolbox(TM), Fixed-Income Toolbox(TM) and Optimization Toolbox(TM).

Required Products Financial Toolbox
Fixed-Income Toolbox
Optimization Toolbox
MATLAB release MATLAB 7.9 (R2009b)
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Comments and Ratings (3)
03 Jan 2014 Yu

good file, well, there is a tiny mistake. When trying to price the exsiting CDS contracts, the error occurs:

Error in rpv01 (line 9)
RPVDF = LIBOR.getDiscountFactors(RPV_Dates);

i.e.
All Curve Dates must be greater than or equal to Settle.

, So that, slight adjustment for the code is needed, but still very helpful....

02 Jan 2014 Yu

does any one have the paper Fitting Survival Probability Models and could share with me?

11 Feb 2011 Johnny

Very helpful in calculating hazard probability. A very nice work.

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